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Seth Golden posted an update 4 years, 5 months ago
Spread of implied volatility vs. historical volatility has hit all-time lows:
The volatility risk premium – measured as the VIX minus SPX 1m realized volatility – has fallen to nearly -50, the lowest level since the VIX’s inception in 1990. So, something has got to give. With volatility being a mean reverting asset, either realized volatility will fall, or implied volatility is too cheap. Given the landscape, the argument for the latter is likely an easier one.
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